Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate |
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| Authors: | K Ivanova M Ausloos |
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| Institution: | (1) Institute of Electronics, Bulgarian Academy of Sciences, Tzarigradko chaussee 72, Sofia 1784, Bulgaria, BG;(2) SUPRAS, Institut de Physique B5, Université de Liège, 4000 Liège, Belgium, BE |
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| Abstract: | An estimate of the low q-moment values of the assumed multifractal spectrum of Gold price, Dow Jones Industrial Average (DJIA) and Bulgarian Lev -
USA Dollar (BGL-USD) exchange rate over a 6 1/2 year time span has been made. The findings can be compared to the analysis
made on 23 foreign currency exchange rates by Vandewalle and Ausloos but there is a clear indication of some differences.
Comparison to fractional Brownian motion is made. The analysis shows that these three financial data are not likely fractal
but rather multifractal indeed.
Received 17 October 1998 and Received in final form 2 November 1998 |
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| Keywords: | PACS 05 40 +j Fluctuation phenomena random processes and Brownian motion - 01 75 +m Science and society |
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